int main(void) {
int N, j, i, retval;
double *xi, *xf;
double maxstep;
custom_function myvalue_min = { myvalue, 0 };
custom_gradient myvaluegrad_min = { myvaluegrad, 0 };
N = 4;
xi = (double*)malloc(sizeof(double)* N);
xf = (double*)malloc(sizeof(double)* N);
for (i = 0; i < N; ++i) {
xi[i] = 1;
}
printf("\n\n%-25s%-20s%-20s \n", "Method", "Return Value", "Objective Function");
maxstep = 1000.0; // Set the value accordingly. Maximum Step size
for (j = 0; j < 8; ++j) {
retval = fminunc(&myvalue_min, &myvaluegrad_min, N, xi,maxstep, j, xf);
printf("\n\n%-25d%-20d%-20g \n", j, retval, myvalue(xf, N,0));
printf("Function Minimized At : ");
for (i = 0; i < N; ++i) {
printf("%g ", xf[i]);
}
for (i = 0; i < N; ++i) {
xi[i] = 1;
}
}
free(xi);
free(xf);
return 0;
}
int as154_seas(double *inp, int N, int optmethod, int p, int d, int q, int s, int P, int D, int Q,
double *phi, double *theta, double *PHI, double *THETA, double *wmean,double *var,double *loglik,double *hess) {
int i, pq, retval, length, offset,ret;
double *b, *tf, *x,*inp2,*dx,*thess;
int *ipiv;
double maxstep;
alik_seas_object obj;
custom_function as154_min;
obj = alik_seas_init(p, d, q, s, P, D, Q, N);
inp2 = (double*)malloc(sizeof(double)* (N - s*D));
pq = obj->pq;
b = (double*)malloc(sizeof(double)* pq);
tf = (double*)malloc(sizeof(double)* pq);
thess = (double*)malloc(sizeof(double)* pq*pq);
dx = (double*)malloc(sizeof(double)* pq);
ipiv = (int*)malloc(sizeof(int)* pq);
length = N;
maxstep = 1.0;
css_seas(inp, N, optmethod, p, d, q, s, P, D, Q, phi, theta, PHI, THETA, wmean, var,loglik,hess);
/*
*/
if (D > 0) {
N = diffs(inp, N, D, s, inp2);
}
else {
for (i = 0; i < N; ++i) {
inp2[i] = inp[i];
}
}
x = (double*)malloc(sizeof(double)* (N - d));
if (d > 0) {
N = diff(inp2, N, d, x); // No need to demean x
}
else {
for (i = 0; i < N; ++i) {
x[i] = inp2[i];
}
}
obj->N = N;
offset = obj->offset;
for (i = 0; i < p; ++i) {
b[i] = phi[i];
}
for (i = 0; i < q; ++i) {
b[p + i] = -theta[i];
}
for (i = 0; i < P; ++i) {
b[p + q + i] = PHI[i];
}
for (i = 0; i < Q; ++i) {
b[p + q + P + i] = -THETA[i];
}
if (obj->M == 1) {
b[p + q + P + Q] = *wmean;
}
obj->mean = *wmean;
//mdisplay(b, 1, p + q + P + Q);
for (i = 0; i < N; ++i) {
obj->x[offset + i] = obj->x[offset + 2 * N + i] = x[i];
}
for (i = N; i < 2 * N; ++i) {
obj->x[offset + i] = 0.0;
}
//printf("\n %d %g ", pq,maxstep);
// custom_function as154_min = { fas154_seas, obj };
as154_min.funcpt = fas154_seas;
as154_min.params = obj;
retval = fminunc(&as154_min, NULL, pq, b, maxstep, optmethod, tf);
if (retval == 0) {
ret = 0;
}
else if (retval == 15) {
ret = 15;
}
else if (retval == 4) {
ret = 4;
}
else {
ret = 1;
}
for (i = 0; i < pq; ++i) {
dx[i] = 1.0;
}
hessian_fd(&as154_min, tf, pq, dx, obj->eps, hess);
mtranspose(hess, pq, pq, thess);
for (i = 0; i < pq*pq; ++i) {
thess[i] = (N - d - s*D) * 0.5 * (hess[i] + thess[i]);
}
ludecomp(thess, pq, ipiv);
minverse(thess, pq, ipiv, hess);
for (i = 0; i < p; ++i) {
phi[i] = tf[i];
}
for (i = 0; i < q; ++i) {
theta[i] = -tf[p + i];
}
for (i = 0; i < P; ++i) {
PHI[i] = tf[p + q + i];
}
for (i = 0; i < Q; ++i) {
THETA[i] = -tf[p + q + P + i];
}
if (obj->M == 1) {
*wmean = tf[p + q + Q + P];
}
else {
*wmean = 0.0;
}
*var = (obj->ssq) / (double) N;
*loglik = obj->loglik;
//printf("MEAN %g \n", mean(obj->x+N,N));
//mdisplay(obj->x + N, 1, N);
free(b);
free(tf);
free(inp2);
free(x);
free(dx);
free(thess);
free(ipiv);
free_alik_seas(obj);
return ret;
}
void as197(double *inp, int N, int optmethod, int p, int d, int q, double *phi, double *theta, double *wmean, double *var,double *resid,double *loglik,double *hess) {
int i, pq, retval, length;
double *b, *tf, *x;
double maxstep;
alik_object obj;
custom_function as197_min;
x = (double*)malloc(sizeof(double)* (N - d));
length = N;
maxstep = 1.0;
obj = alik_init(p, d, q, N);
css(inp, N, optmethod, p, d, q, phi, theta, wmean, var,resid,loglik,hess);
if (d > 0) {
N = diff(inp, N, d, x); // No need to demean x
}
else {
for (i = 0; i < N; ++i) {
x[i] = inp[i];
}
}
obj->N = N;
obj->mean = *wmean;
pq = obj->pq;
b = (double*)malloc(sizeof(double)* pq);
tf = (double*)malloc(sizeof(double)* pq);
for (i = 0; i < p; ++i) {
b[i] = phi[i];
}
for (i = 0; i < q; ++i) {
b[p + i] = -theta[i];
}
if (obj->M == 1) {
b[p + q] = obj->mean;
}
//mdisplay(b, 1, pq);
for (i = 0; i < N; ++i) {
obj->x[i] = obj->x[2 * N + i] = x[i];
}
for (i = N; i < 2 * N; ++i) {
obj->x[i] = 0.0;
}
//custom_function as197_min = { fas197, obj };
as197_min.funcpt = fas197;
as197_min.params = obj;
retval = fminunc(&as197_min, NULL, pq, b, maxstep, optmethod, tf);
for (i = 0; i < pq; ++i) {
printf("%g ", tf[i]);
}
for (i = 0; i < p; ++i) {
phi[i] = tf[i];
}
for (i = 0; i < q; ++i) {
theta[i] = tf[p + i];
}
if (obj->M == 1) {
*wmean = tf[p + q];
}
else {
*wmean = 0.0;
}
for (i = 0; i < N - d; ++i) {
resid[i] = obj->x[N + i];
}
*var = (obj->ssq) / (double)N;
free(b);
free(tf);
free(x);
free_alik(obj);
}
int as154(double *inp, int N, int optmethod, int p, int d, int q, double *phi, double *theta, double *wmean, double *var,double *resid,double *loglik,double *hess) {
int i,pq,retval,length,ret;
double *b,*tf,*x,*dx,*thess;
int *ipiv;
double maxstep;
alik_object obj;
custom_function as154_min;
x = (double*)malloc(sizeof(double)* (N - d));
length = N;
maxstep = 1.0;
obj = alik_init(p, d, q, N);
css(inp, N, optmethod, p, d, q, phi, theta, wmean, var,resid,loglik,hess);
if (d > 0) {
N = diff(inp, N, d, x); // No need to demean x
}
else {
for (i = 0; i < N; ++i) {
x[i] = inp[i];
}
}
obj->N = N;
obj->mean = *wmean;
pq = obj->pq;
b = (double*)malloc(sizeof(double)* pq);
tf = (double*)malloc(sizeof(double)* pq);
thess = (double*)malloc(sizeof(double)* pq*pq);
dx = (double*)malloc(sizeof(double)* pq);
ipiv = (int*)malloc(sizeof(int)* pq);
for (i = 0; i < p; ++i) {
b[i] = phi[i];
}
for (i = 0; i < q; ++i) {
b[p + i] = -theta[i];
}
if (obj->M == 1) {
b[p + q] = obj->mean;
}
for (i = 0; i < N; ++i) {
obj->x[i] = obj->x[2 * N + i] = x[i];
}
for (i = N; i < 2 * N; ++i) {
obj->x[i] = 0.0;
}
//20141121ÐÞ¸Ä
//custom_function as154_min = { fas154, obj };
as154_min.funcpt = fas154;
as154_min.params = obj;
retval = fminunc(&as154_min, NULL, pq, b,maxstep, optmethod, tf);
if (retval == 0) {
ret = 0;
}
else if (retval == 15) {
ret = 15;
}
else if (retval == 4) {
ret = 4;
}
else {
ret = 1;
}
for (i = 0; i < pq; ++i) {
dx[i] = 1.0;
}
hessian_fd(&as154_min, tf, pq, dx, obj->eps, hess);
mtranspose(hess, pq, pq, thess);
for (i = 0; i < pq*pq; ++i) {
thess[i] = (N-d) * 0.5 * (hess[i] + thess[i]);
}
ludecomp(thess, pq, ipiv);
minverse(thess, pq, ipiv, hess);
for (i = 0; i < p; ++i) {
phi[i] = tf[i];
}
for (i = 0; i < q; ++i) {
theta[i] = -tf[p + i];
}
if (obj->M == 1) {
*wmean = tf[p + q];
}
else {
*wmean = 0.0;
}
/*
wmean = 0.0;
for (i = 0; i < N; ++i) {
wmean += (obj->x[N + i] * obj->x[N + i]);
}*/
*var = (obj->ssq) / (double) N;
for (i = 0; i < N - d; ++i) {
resid[i] = obj->x[N + i];
}
*loglik = obj->loglik;
//printf("MEAN %g \n", mean(obj->x+N,N));
//mdisplay(obj->x + N, 1, N);
free(b);
free(tf);
free(x);
free(thess);
free(ipiv);
free(dx);
free_alik(obj);
return ret;
}
